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st: Fixed effects model formulation

Subject   st: Fixed effects model formulation
Date   Mon, 23 Jan 2006 14:35:18 -0600


I have a fixed effects model as follows:

Yit = a + bi  + cXit  + et

Where:      Yit  = the dependent variable for case i  at time t
            a = the intercept
            bi = the fixed effect for case i
            c = a vector of coefficients
            Xit  = a vector of factors i at time t (independent variables)
            et  = the error term at time t

Is this an acceptable (OK) fixed effects model?  I note that most models do
not use a vector of c coefficients and treat Xit  as a scalar variable.

Also, approximately what sample size (number of time periods) would I need
to estimate this model when the vector c has 5 coefficients, and i has 6
cases.  I realize it depends, but is there a "rule of thumb" for the number
of time periods needed?

Thanks (This is a question from a "rookie", but any response is

Roger Schroeder

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